Counterparty Risk and Funding: A Tale of Two Puzzles

ISBN-13: 9780367740061 / Angielski / Miękka / 2020 / 388 str.

Stéphane Crépey; Tomasz R. Bielecki; Damiano Brigo

Opis

This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore

Spis treści

Financial Landscape. Model-Free Developments. Reduced-Form BSDE Modeling. Dynamic Copula Models. Further Developments. Mathematical Appendix. Index.

O autorze

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo